Under Armour is the real deal, as mentioned. I don't care for winter golf gloves, but instead just go with regular golf gloves on each hand. Walking is a must, and carrying is ideal, because you can put your hands in your pockets while you walk.
Be sure to have your bag and shoes indoors the day before you play. Nothing worse than forgetting the shoes are in the car and putting your feet inside freezing shoes.
Bring a center punch or some small but strong pick to help make a hole for your tee. If the ground is frozen you will not be able to get a tee in the ground.
Match play. Winter courses and conditions are no place to be worrying about a score. Match play can make even the worst of conditions fun.
At the end of the day, it's all about performance textiles, a hat, and walking. Layer up and walk and you'll be surprised how warm you are.